java实现excel价格，yield函数

Question

想知道是否有人可以指向我提供Excel价格和收益函数实现的开源java量子库。

谢谢， Tapasvi

Answer 1

Excel PRICE函数是贴现现金流量的简单总和，假设零利率贴现曲线平均折现。这里记录了：Excel Help / PRICE。

我写了一个小Java版本的函数，我将在下面发布。 Java版本只需要“成熟时间”并且不支持不同的日计数，而Excel PRICE函数需要结算日期和到期日并支持不同的日期计数。但是，您可以通过转换优惠券来归因于不同的日计数。另请注意，Excel功能在优惠券前面有一个奇怪的硬编码名称为100。

对两个实现进行基准测试的Excel工作表可以是downloaded here。该表格需要"Obba"。

Excel YIELD函数只是应用于PRICE函数的牛顿求解器，请参阅Excel Help / YIELD。可以在finmath.net找到牛顿求解器的Java实现。

/*
 * Created on 07.04.2012
 */

/**
 * This class implements some functions as static class methods.
 *
 * (c) Copyright 2012 Christian Fries.
 *
 * @author Christian Fries
 * @version 1.0
 */
public class SpreadsheetFunctions {

    /**
     * Re-implementation of the Excel PRICE function (a rather primitive bond price formula).
     * The reimplementation is not exact, because this function does not consider daycount conventions.
     * We assume we have (int)timeToMaturity/frequency future periods and the running period has
     * an accrual period of timeToMaturity - frequency * ((int)timeToMaturity/frequency).
     * 
     * @param timeToMaturity The time to maturity.
     * @param coupon Coupon payment.
     * @param yield Yield (discount factor, using frequency: 1/(1 + yield/frequency).
     * @param redemption Redemption (notional repayment).
     * @param frequency Frequency (1,2,4).
     * @return price Clean price.
     */
    public static double price(
            double timeToMaturity,
            double coupon,
            double yield,
            double redemption,
            int frequency)
    {
        double price = 0.0;

        if(timeToMaturity > 0) {
            price += redemption;
        }

        double paymentTime = timeToMaturity;
        while(paymentTime > 0) {
            price += coupon/frequency;

            // Discount back
            price = price / (1.0 + yield / frequency);
            paymentTime -= 1.0 / frequency;
        }

        // Accrue running period
        double accrualPeriod = 0.0-paymentTime; // amount of running period which lies in the past (before settlement)
        price *= Math.pow(1.0 + yield / frequency, accrualPeriod*frequency);
        price -= coupon/frequency * accrualPeriod*frequency;

        return price;
    }
}

Answer 2

您可能需要查看QuantLib。它是一个免费/开源的量化金融库。